Bartlett correction of the unit root test in autoregressive models

Biometrika

Volumn 84, Issue 2, 1997, Pages 500-504

  Nielsen, B ^a  

^a NUFFIELD COLLEGE   (United Kingdom)

Author keywords

Bartlett correction; Gaussian autoregressive model; Moment expansion; Unit root

Indexed keywords

EID: 0000275218     PISSN: 00063444     EISSN: None     Source Type: Journal    
DOI: 10.1093/biomet/84.2.500     Document Type: Article

References (7)

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2. BARTLETT, M. S. (1937). Properties of sufficiency and statistical tests. Proc. R. Soc. Lond. A 160, 268-82.
3. CURTISS, J. H. (1942). A note on the theory of moment generating functions. Ann. Math. Statist. 13, 430-3.
4. JOHANSEN, S. (1995). Likelihood Based Inference in Cointegrated Vector Autoregressive Models. Oxford University Press.
5. LAWLEY, D. N. (1956). A general method for approximating to the distribution of the likelihood ratio criteria. Biometrika 43, 295-303.
6. SHENTON, L. R. & JOHNSON, W. L. (1965). Moments of a serial correlation coefficient. J. R. Statist. Soc. B 27, 308-20.
7. WHITE, J. S. (1958). The limiting distribution of the serial correlation coefficient in the explosive case. Ann. Math. Statist. 29, 1188-97.